The normality of multi-asset returns in event time is shown empirically. A multivariate subordination mechanism is proposed in order to explain this phenomenon.

Frédéric Abergel

Nicolas Huth

English

Research Papers in Economics

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The times change: multivariate subordination, empirical facts

http://hal.archives-ouvertes.fr/docs/00/62/08/41/PDF/14697688.2010.pdf

The times change: multivariate subordination, empirical facts

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Research Papers in Economics